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The current research aimed to design a recession-dating algorithm, which could allow the Bureau for Economic Research BER to make accurate calls on business cycle turning points substantially sooner after the event than is the case with the official SARB determination, which typically lags actual turning points by 18 to 24 months. The proposed algorithm includes, as a point of departure, the advance signals given by the yield spread between 3-month and year government bonds , as well as a consideration of the local moments of five high-frequency economic time series.
The turning point signals provided by these indicators and after the application of censoring rules are integrated by reconciling the differences through the use of the median date in order to derive true business cycle turning points. The algorithm was tested for the five recessions experienced over the to period. It was found that the algorithm could be applied successfully in calling the business cycle turning points over this year period avoiding any false positives.
A high degree of accuracy was also obtained, i. Bibliographic data for series maintained by Melt van Schoor. Is your work missing from RePEc? Here is how to contribute. Questions or problems? Page updated Handle: RePEc:sza:wpaper:wpapers
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This Institute of National Importance is a unique mulit-locational one. The academic programmes are offered in these locations. In addition, there are offices in Coimbatore, Hyderabad, Mumbai, Pune, Vadodara primarily for consultancy on statistical quality control and operation research in a wide range of industries. College Post, Bangalore India. Solmara Tezpur- Assam. New Barganda Giridih Jharkhand, India. Indian Statistical Institute Street No. The activities of the Institute are organized into divisions, of which seven are for research, development and consultancy activities.
Each division comprises of Units.
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